Asset allocation, cross-class correlation and the structure of property returns

Practical applications of portfolio optimisation tend to proceed on a “top down” basis where funds are allocated first at asset class level (between, say, bonds, cash, equities and real estate) and then, progressively, at sub-class level (within property to sectors, office, retail, industrial for example). While there are organisational benefits from such an approach, it can potentially lead to sub-optimal allocations when compared to a “global” or “side-by-side” optimisation. This will occur where there are correlations between sub-classes across the asset divide that are masked in aggregation – between, for instance, City offices and the performance of financial services stocks. This paper explores such sub-class linkages using UK monthly stock and property data. Exploratory analysis using clustering procedures and factor analysis suggests that property performance and equity performance are distinctive: there is little persuasive evidence of contemporaneous or lagged sub-class linkages. Formal tests of the equivalence of optimised portfolios using top-down and global approaches failed to demonstrate significant differences, whether or not allocations were constrained. While the results may be a function of measurement of market returns, it is those returns that are used to assess fund performance. Accordingly, the treatment of real estate as a distinct asset class with diversification potential seems justified

Minimizing information leakage of tree-based RFID authentication protocols using alternate tree-walking

The privacy of efficient tree-based RFID authentication protocols is heavily dependent on the branching factor on the top layer. Indefinitely increasing the branching factor, however, is not a viable option. This paper proposes the alternate-tree walking scheme as well as two protocols to circumvent this problem. The privacy of the resulting protocols is shown to be comparable to that of linear-time protocols, where there is no leakage of information, whilst reducing the computational load of the database by one-third of what is required of tree-based protocols during authentication. We also identify and address a limitation in quantifying privacy in RFID protocols

The impact of technology: value-added classroom practice: final report

This report extends Becta’s enquiries into the ways in which digital technologies are supporting learning. It looks in detail at the learning practices mediated by ICT in nine secondary schools in which ICT for learning is well embedded. The project proposes a broader perspective on the notion of ‘impact’ that is rather different from a number of previous studies investigating impact. Previous studies have been limited in that they have either focused on a single innovation or have reported on institutional level factors. However, in both cases this pays insufficient attention to the contexts of learning. In this project, the focus has been on the learning practices of the classroom and the contexts of ICT-supported learning. The study reports an analysis of 85 lesson logs, in which teachers recorded their use of space, digital technology and student outcomes in relation to student engagement and learning. The teachers who filled in the logs, as well as their schools’ senior managers, were interviewed as part of a ‘deep audit’ of ICT provision conducted over two days. One-hour follow-up interviews with the teachers were carried out after the teachers’ log activity. The aim of this was to obtain a broader contextualisation of their teaching

Accounting for the financialized UK and US national business model

The term ‘business model’ (BM) is generally used to describe the possibilities of transforming corporate activities and business functions (Osterwalder et al,2005 and Magretta,2002) In this paper we argue that our understanding of what constitutes a BM can be reworked to generate a useful organizing framework to investigate the nature of national economic development and transformation. Our argument is that national business models are subtended within a broad econo‐sphere where they evolve and adapt to information arising out of stakeholder interactions. These interactions congeal into reported financial numbers that are represented as GDP flow (income and surplus) and Balance Sheet accumulations (assets and liabilities outstanding). In this paper we employ financial data from national accounts to specifically describe how the US and UK national business models have financialized. We observe that balance sheet capitalization has inflated ahead of earnings and surplus. Our argument is that the capitalization of a national business model is not simply the mathematical product of discounting corporate cash earnings. The process of on‐going capitalization is also conditioned by variable institutional sector characteristics where financial innovation is possible and, within credit based economies, goodwill and holding gains arising out of asset inflation also provide collateral for further ongoing recapitalizations. In financialized national business models the system of accounting takes on added analytical significance because it ‘transmits rather than contains’ and ‘amplifies rather than dampens’ adverse financial disturbance as capitalizations are recalibrated up or down.Peer reviewe